While still elevated relative to historical levels, correlations among individual equities have fallen recently. In macro-driven markets everything tends to move together, whereas in micro-driven markets there tends to be much greater dispersion in returns within the investment universe. As you might imagine, the greater the dispersion in returns the more opportunity there is for relative strength strategies to really stand out. Given the fact that we have been in a macro-driven market for several years now, I would not be surprised to see correlations drop from here.
Source: The Leuthold Group